Measuring financial interdependence in asset markets with an application to eurozone equities
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Fry-McKibbin, Renee; Hsiao, Cody Yu-Ling; Martin, Vance L
Description
A general measure of asset market interdependence based on higher order comoments is developed and applied to studying weekly U.S. and eurozone equity returns from 1990 to 2017. A new test of inde- pendence is also developed. The empirical results show that interdependence peaks during the global financial crisis with the covariance and covolatility comoments being the dominant factors. Conditioning the interdependence measure on volatility does not change the overall qualitative results....[Show more]
Collections | ANU Research Publications |
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Date published: | 2020 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/224469 |
Source: | Journal of Banking and Finance |
DOI: | 10.1016/j.jbankfin.2020.105985 |
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01_McKibbin+%28previously+Fry%29_Measuring_financial_2020.pdf | 2.59 MB | Adobe PDF | Request a copy |
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